AMGL[Strategy] vs INav[Benchmark]

30 Jul, 2025 - 25 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	46.46%	45.17%
CAGR﹪	42.79%	41.62%
Sharpe	1.17	0.95
Prob. Sharpe Ratio	62.22%	51.36%
Smart Sharpe	1.1	0.9
Sortino	1.7	1.46
Smart Sortino	1.59	1.37
Sortino/√2	1.2	1.03
Smart Sortino/√2	1.13	0.97
Omega	1.22	1.22
Max Drawdown	-27.94%	-28.56%
Longest DD Days	175	175
Volatility (ann.)	27.75%	35.89%
R^2	0.48	0.48
Information Ratio	-0.0	-0.0
Calmar	1.53	1.46
Skew	-0.47	0.99
Kurtosis	2.75	20.68
Expected Daily	0.14%	0.14%
Expected Monthly	2.76%	2.7%
Expected Yearly	21.02%	20.49%
Kelly Criterion	8.89%	13.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.72%	-3.56%
Expected Shortfall (cVaR)	-2.72%	-3.56%
Max Consecutive Wins	4	8
Max Consecutive Losses	5	8
Gain/Pain Ratio	0.27	0.26
Gain/Pain (1M)	1.79	1.83
Payoff Ratio	1.05	1.16
Profit Factor	1.27	1.26
Common Sense Ratio	1.38	1.42
CPC Index	0.71	0.78
Tail Ratio	1.09	1.12
Outlier Win Ratio	3.43	3.13
Outlier Loss Ratio	3.54	3.36
MTD	21.02%	20.89%
3M	18.8%	17.47%
6M	-1.97%	-2.39%
YTD	12.87%	11.87%
1Y	42.54%	42.21%
3Y (ann.)	42.79%	41.62%
5Y (ann.)	42.79%	41.62%
10Y (ann.)	42.79%	41.62%
All-time (ann.)	42.79%	41.62%
Best Day	5.23%	18.48%
Worst Day	-8.94%	-12.81%
Best Month	21.02%	20.89%
Worst Month	-7.36%	-7.92%
Best Year	29.76%	29.77%
Worst Year	12.87%	11.87%
Avg. Drawdown	-3.52%	-5.62%
Avg. Drawdown Days	18	32
Recovery Factor	1.66	1.58
Ulcer Index	0.13	0.13
Serenity Index	0.23	0.27
Avg. Up Month	8.37%	8.42%
Avg. Down Month	-4.86%	-4.97%
Win Days	53.23%	53.33%
Win Month	64.29%	57.14%
Win Quarter	80.0%	80.0%
Win Year	100.0%	100.0%
Beta	0.54	-
Alpha	0.17	-
Correlation	69.5%	-
Treynor Ratio	73.45%	-